A Monte Carlo investigation of some tests for stochastic dominance

DOI10.1080/00949650310001593221zbMath1085.62132OpenAlexW2010643362MaRDI QIDQ4673865

Yiu Kuen Tse, Xibin Zhang

Publication date: 9 May 2005

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/704

zbMATH Keywords

income distributionBurr distributionunion-intersection testportfolio investment

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Monte Carlo methods (65C05)

Related Items (8)

New Tests for Richness and Poorness: A Stochastic Dominance Analysis of Income Distributions in Hong Kong ⋮ Four-decision tests for stochastic dominance, with an application to environmental psychophysics ⋮ Stochastic ordering of variability measure estimators ⋮ Testing higher and infinite degrees of stochastic dominance for small samples: a Bayesian approach ⋮ The sizes and powers of some stochastic dominance tests: A Monte Carlo study for correlated and heteroskedastic distributions ⋮ Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency ⋮ Distribution-free tests of stochastic dominance for small samples ⋮ Improving the Power of Tests of Stochastic Dominance

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